Actually you can open the menu and still hold onto the wall, but clicking something will detach you and you will fall.
I know that many players use binds, that's cool, but don't use that to say that this doesn't need to be fixed. This is a problem to be taken seriously. Anyone who is just getting into trem will be affected by this, because they haven't taken the time to make binds yet (or they don't know what binds are). The menu is a feature, like it or not, and binds are the exception. The exception shouldn't be the answer to the the feature. That would be sloppy.